Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0018
Annualized Std Dev 0.1518
Annualized Sharpe (Rf=0%) -0.0122

Row

Daily Return Statistics

Close
Observations 5569.0000
NAs 1.0000
Minimum -0.1513
Quartile 1 -0.0033
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0036
Maximum 0.2870
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0096
Skewness 4.1915
Kurtosis 175.2614

Downside Risk

Close
Semi Deviation 0.0065
Gain Deviation 0.0086
Loss Deviation 0.0077
Downside Deviation (MAR=210%) 0.0115
Downside Deviation (Rf=0%) 0.0064
Downside Deviation (0%) 0.0064
Maximum Drawdown 0.5476
Historical VaR (95%) -0.0119
Historical ES (95%) -0.0207
Modified VaR (95%) NA
Modified ES (95%) -0.2153
From Trough To Depth Length To Trough Recovery
2003-06-20 2008-10-10 NA -0.5476 4467 1336 NA
1999-02-05 2000-01-04 2003-05-29 -0.2515 1066 228 838
1999-01-06 1999-01-06 1999-02-01 -0.0148 18 1 17
2003-06-10 2003-06-13 2003-06-18 -0.0092 7 4 3
1999-02-02 1999-02-02 1999-02-03 -0.0059 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.3 0.3 0 -0.3 0.9 -0.6 -1 0.3 -0.4 0 0.4 0 -0.1
2000 0.7 -0.4 -0.4 0 1.1 0.4 0 0 0 0 0 0 1.5
2001 -0.3 0.3 -0.4 0.1 0.1 0.8 0.1 0.7 -0.1 0.9 0.7 -0.2 2.9
2002 0.7 0.4 -0.1 -0.5 -0.3 0.3 -0.7 0.2 -0.5 -0.5 -0.6 0.3 -1.3
2003 0.1 0.2 -1.9 0.3 -0.1 -0.9 -1 -0.3 0.3 -4.7 0.1 -0.3 -8
2004 -0.1 -0.1 1.4 -0.7 -1 0.3 0.7 -1.1 -0.4 0 -1 0.2 -2
2005 -0.5 0.8 1 0.3 0.3 -0.5 -0.2 -0.1 0 -0.5 1.8 0.1 2.6
2006 -1.6 0.2 0.6 0.8 -0.2 1 0.6 -0.8 0 0.6 0.2 -0.5 1
2007 -0.1 0.1 0.1 -0.2 -0.4 0.1 -1 0.4 0.2 -0.1 0.5 0.5 -0.1
2008 -0.3 0.1 2.2 0.4 -0.1 -1.4 0.1 2.6 -0.4 -3.1 -2.9 3.2 0.1
2009 0.7 -2.8 -2 0.2 0.1 0.3 0 0.6 -0.3 -0.9 0.4 0.6 -3.3
2010 -0.1 0.5 0.4 0.2 -0.3 -0.3 0 0.2 0.6 1 -0.1 0.5 2.6
2011 -0.1 0 0.8 0.6 0.2 -0.2 1.2 -0.1 0.2 0.7 0.1 0.6 4
2012 0.4 0.6 0.2 0.1 -0.7 -0.3 0.7 0.5 0.2 0.4 -0.2 0.4 2.2
2013 0.3 0.2 1 1.7 -1 0.2 -0.8 0.5 0 0.2 -0.3 0.2 2
2014 -0.1 -0.2 -0.4 1.1 0.1 0.1 0.5 -0.4 -1.6 0.1 -0.3 1.3 0.3
2015 -0.7 0.3 0.3 0 0.3 0.7 1.1 0.5 -0.1 0 0.7 0.1 3.3
2016 0.1 -0.2 0.2 -0.1 0.2 -0.2 -0.1 0.5 0.7 0.1 -0.3 2 3
2017 -0.2 -0.9 -0.1 0.4 -0.3 -0.6 0.2 -0.3 0.1 -1 -1.8 -0.3 -4.8
2018 0 0.4 0.4 -0.7 -0.3 1 0.1 -1.2 0.2 -0.3 0.2 -0.2 -0.5
2019 0.6 -0.4 -1.1 1 0.8 -0.8 0.9 -0.5 0 0.3 -0.2 0.9 1.4
2020 0.5 -3.1 -7.1 0.2 0.5 1.2 -1.1 0.1 1.2 -0.1 0 0.6 -7.2
2021 0.7 0.2 -0.2 NA NA NA NA NA NA NA NA NA 0.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  21.1 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  21.1 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  20.8 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  20.9 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  20.9 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  20.9 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart